Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1095
Annualized Std Dev 0.2205
Annualized Sharpe (Rf=0%) 0.4964

Row

Daily Return Statistics

Close
Observations 3767.0000
NAs 1.0000
Minimum -0.1309
Quartile 1 -0.0050
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0070
Maximum 0.1224
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0139
Skewness -0.2255
Kurtosis 10.3228

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0098
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5368
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0344
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0330
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-10-25 -0.5368 762 350 412
2020-02-20 2020-03-23 2020-07-20 -0.3678 105 23 82
2018-08-30 2018-12-24 2019-07-03 -0.2323 211 80 131
2011-07-08 2011-10-03 2012-03-26 -0.2256 181 61 120
2015-03-23 2016-02-08 2016-08-15 -0.1976 354 223 131

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0.3 -0.4 1.8 2.6 -0.9 0.4 -0.1 -0.9 -1 -0.6 1.1
2007 0.6 -0.4 0.4 -0.3 0.1 0 0.6 1.2 1.2 -1.8 0.6 -0.3 1.9
2008 2.1 -3.2 3.1 1 0.4 0.1 -1.1 -1.1 -3.5 1.6 -4.4 3.6 -1.8
2009 -2.7 -1.4 0.3 0.7 5.2 0.2 -0.4 -2.2 -2.6 -3.2 1.6 -1 -5.8
2010 2.2 2 1.1 -2.5 -2.9 0.3 0.3 3.8 0.3 0 2.2 -0.5 6.1
2011 1.5 -1.7 0.6 0.2 -2.1 1.9 -0.7 -1.2 -3.2 -2.5 0.3 -0.4 -7.2
2012 0.9 0.7 0.3 0.4 -2.7 2.7 -0.6 0.5 0.2 1.4 0.1 1.9 5.8
2013 1 0.8 -0.9 -0.7 -1.3 1 1.7 -0.4 0.9 0.2 0 0.4 2.7
2014 -0.6 -0.1 1.6 0.2 0 1.2 -0.3 0.3 -1.8 1.6 -1.4 -0.8 -0.1
2015 -1.5 -0.1 -0.6 1.6 0.5 0.6 0.1 -2.7 0.6 0 1.2 -1 -1.4
2016 0.5 3 1 -0.7 0 0.1 0 0.2 0.5 -0.9 -1.6 -0.5 1.4
2017 0 1.2 0 0.4 0.8 0.1 0.1 0.2 0.7 -0.3 -0.8 -0.7 1.5
2018 -0.1 -1.5 1.9 0.9 1.5 0.5 -0.1 0.2 0 1.9 0.6 1.1 7
2019 0.3 0.8 1.1 -1.2 -1.1 0.8 -0.6 -0.8 -1.2 0.8 -0.4 0.1 -1.3
2020 -2.2 -0.1 -4.8 -3.1 0.7 0.4 0.5 1.3 1.1 -1.5 1.2 0.5 -6
2021 2.6 2.9 0.9 NA NA NA NA NA NA NA NA NA 6.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart